Yes. Everyone fills out the worker's compensation affidavit. If you have employees you will check box 1 and fill in the number of employees. Otherwise, you will check one of boxes 2, 3 or 4 depending on your individual situation.
If you are incorporated and are claiming exemption you must first ask the State of Massachusetts for that exemption. You may do that on the State's website. When the proof of corporate exemption is sent to you please provide that exemption with your application. If you are an LLC or a sole proprietor you will not need to get a letter from the State to claim exemption.